Search for dissertations about: "Futures oil"

Found 4 swedish dissertations containing the words Futures oil.

2. 1. On the returns of trend-following trading strategies

   Author : Christian Lundström; Tomas Sjögren; Jussi Nikkinen; Umeå universitet; []
   Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Bootstrap; Commodity Trading Advisor funds; Contraction-Expansion principle; Crude oil futures; Futures trading; Opening Range Breakout strategies; S P 500 futures; Technical analysis; Time series momentum; Time-varying market inefficiency; nationalekonomi; Economics;

   Abstract : Paper [I] tests the success rate of trades and the returns of the Opening Range Breakout (ORB) strategy. A trader that trades on the ORB strategy seeks to identify large intraday price movements and trades only when the price moves beyond some predetermined threshold. READ MORE

4. 2. Techno-Economic Perspectives on Biofuel Futures – Modelling Transport Sector Strategies in an Energy System Context

   Author : Martin Börjesson; Chalmers tekniska högskola; []
   Keywords : TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; NATURVETENSKAP; NATURAL SCIENCES; TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; biogas; oil dependence; model; MARKAL; transport; CO2; optimisation; biofuel;

   Abstract : The high oil dependence and the continuous growth of energy use in the transport sector have in recent years triggered interest in transport biofuels as a measure to mitigate climate change andimprove energy security. This work aims to examine techno-economic interactions linked totransport biofuel strategies in national and regional energy systems and their implications for thecost-effective realisation of energy policy objectives. READ MORE

5. 3. Essays in Quantitative Finance

   Author : Patrik Karlsson; Nationalekonomiska institutionen; []
   Keywords : NATURVETENSKAP; NATURAL SCIENCES; SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; credit valuation adjustment CVA ; derivative pricing; interest rate derivatives; Monte Carlo simulation;

   Abstract : This thesis contributes to the quantitative finance literature and consists of four research papers.Paper 1. This paper constructs a hybrid commodity interest rate market model with a stochastic local volatility function that allows the model to simultaneously fit the implied volatility of commodity and interest rate options. READ MORE

6. 4. On the profitability of momentum strategies and optimal leverage rules

   Author : Christian Lundström Tjurhufvud; Tomas Sjögren; Sami Vähämaa; Umeå universitet; []
   Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Bootstrap; Exchange Traded Products; Kelly criterion; Money management; Opening Range Breakout Strategies; Optimal fraction criterion; Time series momentum; Economics; nationalekonomi;

   Abstract : This thesis consists of an introductory part and five self-contained papers related to the profitability of momentum strategies and optimal leverage rules.Paper [I] tests the success rate of trades and the returns of the Opening Range Breakout (ORB) day trading strategy. READ MORE